Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 1 1 1
Score -9.12 -5.61 -9.61
Market Cap (Millions USD) 589.08 617.88 606.21
Predicted Beta 0.07 0.07 0.1
Idiosyncratic Volatility 2.11 2.29 3.5

Annualized return and volatility

IYE
Annualized Return 0.0517
Annualized Std Dev 0.2654
Annualized Sharpe (Rf=0%) 0.1948

Row

Daily Return Statistics

IYE
Observations 4996.0000
NAs 118.0000
Minimum -0.1893
Quartile 1 -0.0077
Median 0.0003
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0092
Maximum 0.2438
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0167
Skewness 0.0284
Kurtosis 17.8058

Downside Risk

IYE
Semi Deviation 0.0120
Gain Deviation 0.0116
Loss Deviation 0.0125
Downside Deviation (MAR=210%) 0.0166
Downside Deviation (Rf=0%) 0.0119
Downside Deviation (0%) 0.0119
Maximum Drawdown 0.5582
Historical VaR (95%) -0.0255
Historical ES (95%) -0.0385
Modified VaR (95%) -0.0210
Modified ES (95%) -0.0210
From Trough To Depth Length To Trough Recovery
2008-05-21 2009-03-05 2013-09-18 -0.5582 1364 205 1159
2014-06-24 2016-01-20 NA -0.4741 1411 405 NA
2001-05-21 2002-07-23 2004-06-23 -0.3962 791 297 494
2008-01-04 2008-02-06 2008-04-16 -0.1618 72 23 49
2005-09-30 2005-10-20 2006-01-17 -0.1579 76 16 60

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYE
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 0.0 0.9 0.0 2.9 1.5 0.0 5.5
2001 -1.1 0.5 0.0 -1.4 -0.3 0.0 -1.3 0.0 -2.0 1.2 0.0 0.0 -4.3
2002 1.0 1.2 0.3 1.4 0.0 -1.2 -6.4 0.0 3.4 2.7 0.0 0.0 2.0
2003 0.0 0.0 1.2 -0.1 0.0 -0.3 0.1 0.0 1.2 0.0 1.0 0.0 3.0
2004 0.0 1.7 -1.2 0.0 1.4 0.3 0.0 1.5 1.1 -0.5 -2.4 0.0 2.0
2005 1.6 -2.1 2.2 0.0 1.8 2.0 0.9 2.1 0.0 0.6 3.0 0.0 12.6
2006 -2.0 1.4 0.0 1.4 0.5 0.0 0.4 1.4 0.0 -0.9 0.5 0.0 2.7
2007 0.9 -0.1 0.0 0.5 1.0 0.0 -0.2 0.0 1.5 -2.1 0.0 0.0 1.5
2008 1.3 0.0 1.7 -2.4 0.0 0.7 -0.2 0.0 -1.7 0.0 -9.6 0.0 -10.1
2009 0.0 0.0 1.9 3.3 3.5 0.2 0.0 -1.9 -2.9 0.0 1.5 0.0 5.5
2010 3.0 1.1 1.7 0.0 -4.6 -0.2 0.0 3.7 1.1 0.4 2.8 0.0 9.0
2011 1.8 -1.7 0.4 0.0 -2.4 1.1 -0.1 -0.7 0.0 -3.0 -0.4 0.0 -5.0
2012 0.5 1.0 0.0 1.3 -2.3 0.0 0.6 0.0 0.5 0.7 0.0 0.0 2.2
2013 0.9 -0.1 -0.1 -1.5 0.0 0.9 1.3 0.0 0.7 -0.4 0.0 0.0 1.7
2014 0.0 0.0 0.6 -0.3 0.0 0.1 -0.8 0.0 -1.9 0.0 0.4 0.0 -1.9
2015 0.0 0.0 0.3 0.3 -0.3 -1.7 0.0 -3.8 0.1 0.0 0.7 0.0 -4.4
2016 -2.0 2.1 -1.4 0.0 0.2 0.5 -3.4 -0.2 0.0 0.1 0.2 0.0 -3.9
2017 -0.7 2.2 0.0 -0.3 0.8 0.0 0.0 0.9 0.0 1.2 0.9 0.0 5.1
2018 1.1 -0.1 0.0 -0.7 0.4 0.0 -1.2 0.0 1.4 0.9 0.0 0.0 1.8
2019 1.7 1.8 1.3 -2.2 0.0 0.2 -2.5 0.0 -2.3 2.4 0.0 -0.1 0.1

Row

Rolling Performance Chart

Snail Trail Chart